Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza ManhattanIEEE Service Center, 1995 - 192 páginas |
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Página 11
... fund industry ( Rydex , Potomac and ProFunds ) catering specifically for short - term traders [ WSJ , 1999 ] . This paper argues that it may be possible to outperform the ... Funds Exchange: An Approach for Risk and Portfolio Management 3.
... fund industry ( Rydex , Potomac and ProFunds ) catering specifically for short - term traders [ WSJ , 1999 ] . This paper argues that it may be possible to outperform the ... Funds Exchange: An Approach for Risk and Portfolio Management 3.
Página 11
... exchange strategy should yield acceptable performance when the ( long - term ) market trend is UP , DOWN or FLAT . Index or Fund Money Market Sell or buy Buy or sell Proprietary Exchange Strategy Fig.1 General setting of the funds exchange ...
... exchange strategy should yield acceptable performance when the ( long - term ) market trend is UP , DOWN or FLAT . Index or Fund Money Market Sell or buy Buy or sell Proprietary Exchange Strategy Fig.1 General setting of the funds exchange ...
Página 11
... exchange strategy to historical data ( SP 500 daily closing prices ) . We developed a ( proprietary ) exchange strategy for SP 500 funds ; that effectively make a buy or sell decision for the fund ... exchange strategy . Results of applying ...
... exchange strategy to historical data ( SP 500 daily closing prices ) . We developed a ( proprietary ) exchange strategy for SP 500 funds ; that effectively make a buy or sell decision for the fund ... exchange strategy . Results of applying ...
Contenido
Portfolio Management Session | 11 |
A Reprise | 12 |
A Fuzzy eNegotiation Agents System | 26 |
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Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Términos y frases comunes
algorithm ANFIS applied approach approximation asset attractor behavior Black-Scholes Brownian motion calculated callable bond companies computational constraints CVaR decision defined delta denotes distribution dividend yield downside risk drift model dynamical system economic efficient frontier equation error estimation evaluate evolutionary algorithm example expected regret expected return expected shortfall exponential factors feature Figure financial engineering forecasting formulation fund exchange fuzzy logic Hurst exponent implied volatility input variables interest rate investors Journal Lazy Learning learning linear programming loss mathematical MaxLoss measure method methodology minimization Monte Carlo Neural Networks nonlinear normal obtained Operational Research optimization option pricing output P₁ paper parameters payoff performance PMRS portfolio prediction price derivatives probability problem profit random ratio risk management risk-neutral sample scenarios selection simulation skewed-t skewness solution statistical stochastic stock price Taylor series technique Technology term structure trading ranges variance vector vega volatility function volatility smile